You can create multiple characters to start new games and continue each independently. You can use New Game to start a new character or Select Character to play a previously made character; all their progress is saved.

However, you can't go back and load previous saves of existing characters; only the latest save per character is ever kept by default so all progress made is kept, so progress is 100% linear. I guess some fudging around with save files could eliminate this, but Borderlands isn't meant to be one of those RPGs where you have 500 save files for one character.

As the others have said you can easily change characters in-game.
However you cannot change your profile(the profile that your badass rank is saved in) in-game.
If that is what you want to do then you need to manually move your savefiles to another folder and change the save files as you wish.

Yes, it is quite simple, create multiple characters and name them accordingly. Then on the title menu select your character from the list on the right then press Y (on Xbox360) and a list of all your different characters will appear and select whichever one you want to use.